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State-space structure of finite horizon optimal mixed H_2/H_∞ filters

Halder, B. and Hassibi, B. and Kailath, T. (1997) State-space structure of finite horizon optimal mixed H_2/H_∞ filters. In: Proceedings of the 1997 American Control Conference. Vol.1. IEEE , Piscataway, NJ, pp. 784-785. ISBN 0-7803-3832-4.

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We show that finite horizon optimal mixed H_2/H_∞ filters are not of fixed order. Moreover, when the underlying systems have state-space models of order n, the optimal finite horizon mixed H_2/H_∞, filter has state-space model of order no greater than n+J where J is the multiplicity of the maximum singular value of T_2(K) equal to the H_∞ bound γ.

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Additional Information:© 1997 IEEE. This work was supported in part by DARPA through the Department of Air Force under contract F49620-95-1-0525-P00001 and by the Joint Service Electronics Program at Stanford under contract DAAH04-94-G-0058-P00003.
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Air Force Office of Scientific Research (AFOSR)F49620-95-1-0525-P00001
Joint Service Electronics ProgramDAAH04-94-G-0058-P00003
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:55438
Deposited By: Shirley Slattery
Deposited On:03 Mar 2015 02:08
Last Modified:10 Nov 2021 20:45

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